Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling

DOI10.1080/07474930903382125zbMath1205.91138OpenAlexW2116746639MaRDI QIDQ3557574

Franz C. Palm, Christian Gengenbach, Jean-Pierre Urbain

Publication date: 23 April 2010

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930903382125

zbMATH Keywords

unit root testsfactor modelscross-section dependencenon-stationary panel data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (14)

Likelihood ratio tests for a unit root in panels with random effects ⋮ Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application ⋮ The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(\(p\)) errors ⋮ Panel cointegration with global stochastic trends ⋮ An Intersection Test for Panel Unit Roots ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model ⋮ Panel unit root tests in the presence of a multifactor error structure ⋮ Testing economic convergence in non-stationary panel ⋮ Panel stationary tests against changes in persistence ⋮ Cross-sectional dependence robust block bootstrap panel unit root tests ⋮ The power of PANIC ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions ⋮ The Local Power of the CADF and CIPS Panel Unit Root Tests

Cites Work

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• Panel unit root tests under cross section dependence with recursive mean adjustment
• Testing for unit roots in heterogeneous panels.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Testing for a unit root in panels with dynamic factors
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
• Determining the Number of Factors in Approximate Factor Models

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